Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

DOI10.3150/07-BEJ5092zbMath1135.60038arXiv0708.4138OpenAlexW3100658325MaRDI QIDQ2465271

Yanyan Li

Publication date: 9 January 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.4138

zbMATH Keywords

Neumann boundary conditionbackward doubly stochastic differential equationBackward stochastic differential equationparabolic stochastic PDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• An approximation result for a nonlinear Neumann boundary value problem via BSDEs
• Stochastic differential equations with reflecting boundary conditions
• Viscosity Solutions of Hamilton-Jacobi Equations
• Fully nonlinear stochastic partial differential equations

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